Outbound e-mail, from the plugin's point of view, is sent regardless of the kind of product (physical or digital) purchased (same code used).
I suspect the problem is being caused by a combination of the following...
1. Sometimes, a provider will limit the number of outgoing messages per day or month. Go Daddy is famous for this; they charge you for sending more than X number of messages per month.
2. The messages containing links get caught up in the recipient's spam filter.
3. You could also try this...
WP eStore -> Settings -> General Settings -> Email Settings -> Use WordPress Mailing System
Check or uncheck the box (opposite of current setting) and see if that makes a difference.
